Statistical Analysis Report

Caretta Capital Management (P)
Diversified Global Macro

Report Start Date: Jan-2025 | End Date: Nov-2025

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Set Risk Thresholds

Set Risk-Free ROR for the Sharpe Ratio: Set Minimum Acceptable ROR for the Sortino: Omega Threshold:

Current Return: +1.75%

YTD Return: -6.65%

Annualized Return: -7.23%

AUM: $ 166,151

Trading Strategy

Momentum, Trend Following, Macro / S-Term / Diversified

Program Description

Caretta Capital Management is an alternative investment management company based in Raleigh, NC. We focus on opportunities across all major equity indexes, metal, energy, grain, and currency markets. Our flagship program is currently offered to investors through separately managed accounts. Caretta's Diversified Macro ("CDM") portfolio manages a full spectrum of futures with global exposure. A discretionary investment solution targeting both absolute and competitive returns, while offering low correlation to traditional investments and lower volatility.

Program Statistics
Peak-to-Valley Drawdown (2)	-9.19%
From Feb 2025 to Oct 2025
Worst Month (Jul 2025)	-4.19%
Current Losing Streak	-7.6%
Average Monthly Return	-0.61%
Monthly Std. Deviation	1.54%
Gain Deviation (3 months)	0.72%
Loss Deviation (8 months)	1.36%
Gain to Loss Ratio	0.78
Omega Ratio (5% Threshold)	0.12

Annualized Performance
Compound ROR (1)	-7.23%
Standard Deviation	5.33%
Downside Deviation	5.15%
Sharpe Ratio (3) 2% RF ROR	-1.46
Sortino Ratio (4) 5% MAR	-1.46
Calmar Ratio (5)
Sterling Ratio (6)	0
Gain Deviation	2.49%
Loss Deviation	4.7%
Profit Loss Ratio	0.29

Investment Information
Program Start Date	Jan-2025
Percent Discretionary	100%
Currency Denomination - US Dollar
Minimum Investment	$100,000
Management Fee	2.00%
Incentive Fee	0.00
Margin	2-8%
Round Turns per Million	2,000
NFA No:	#0552458

Performance Since January 2025 | Please See Accounting Notes | A Portion of this Performance is Based on Proprietary Trading

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2025	0.43%	0.60%	-0.10%	-0.43%	-1.84%	-0.89%	-4.19%	-0.74%	-0.02%	-1.31%	1.75%	–	-6.65%	-9.19%

Monthly Return and $1,000 VAMI

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com
© 1997 - 2025 AutumnGold.com LLC

Caretta Capital Management (P)
Diversified Global Macro

Report Start Date: Jan-2025 | End Date: Nov-2025

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Time Window Analysis

Length	Best	Average	Worst
1 mo	1.8%	-0.6%	-4.2%
3 mo	0.9%	-2.6%	-6.8%
6 mo	-2.2%	-6.5%	-8.7%

Drawdowns and Recoveries

Start	End	Drawdown	Recovery
Mar-25	n/a	-9.19%	1 mo

Drawdown Periods Since Jan 2025

Distribution of Monthly Returns

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Statistical Comparisons	Caretta Capital Mgt (P) Diversified Global Macro	AutumnGold AG CTA Index	S&P 500 SP 500 TR

Annualized Compound ROR (1)	-7.23%	4.62%	19.58%
Cumulative Return	-6.65%	4.23%	17.81%
Cumulative VAMI(7)	933	1,042	1,178
Best Monthly Return	1.75%	1.96%	6.29%
Worst Monthly Return	-4.19%	-0.99%	-5.63%
Annual Standard Deviation	5.33%	3.26%	11.42%
Profit Loss Ratio	0.29	3.19	3.24
Correlation	—	0.26	-0.35
Last Month	1.75%	1.96%	0.25%
Last 12 Months	-6.65%	4.54%	15.01%
Last 36 Months	-6.65%	13.22%	75.29%

Growth of $1,000 VAMI Comparison

Caretta Capital Management (P)
Diversified Global Macro

Report Start Date: Jan-2025 | End Date: Nov-2025

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Accounting Notes

Proprietary performance net of management and incentive fees.

Other Fees

N/A

An Important Note on the Start Date and End Date of this Report

If the Start Date of this Report Predates the Inception of the Program, the Maximum Drawdown from Inception may be larger than indicated in this report. Performance Results reported or amended subsequent to Monday December 8, 2025 are not reflected in this Report. Monthly ROR and drawdowns are based on end-of-month values and do not reflect intramonth volatility.

Historical Drawdowns and Recoveries

The drawdown begins in the month listed as "start." Length is in months. Recovery begins the following month and ends when full recovery is reached.

Statistical Footnotes

1. The Annualized Compounded Rate of Return (ACROR) represents the compounded rate of return for each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. It smooths out the returns by assuming a constant growth.
2. Peak to Valley Drawdown = worst % loss between Jan-2025 and Nov-2025
3. Sharpe Ratio is calculated using a Risk-Free ROR
4. Sortino Ratio is calculated using a Minimum Acceptable ROR
5. Calmar Ratio uses the last 36 months of data
6. Sterling Ratio uses the last 36 months of data
7. VAMI = Hypothetical growth of $1,000
8. Drawdown/recovery: start = first loss, recovery = full return to prior peak

Benchmark Descriptions

AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index.

SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends.

This report was prepared from trader-provided information and is believed to be reliable. It should be read alongside each Trader’s Disclosure Document or Fund Offering Document.

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